The Sharpe ratio is a way to compare the excess returns (over the risk-free asset) of portfolios for each unit of volatility that is generated by a portfolio. In this paper, we introduce a robust Sharpe ratio portfolio under the assumption that the risk-free asset is unknown. We propose a robust portfolio that maximizes the Sharpe ratio when the risk-free asset is unknown, but is within a given interval. To compute the best Sharpe ratio portfolio, all the Sharpe ratios for any risk-free asset are considered and compared by using the so-called cross-efficiency evaluation. An explicit expression of the Cross-Efficiency Sharpe Ratio portfolio is presented when short selling is allowed.
CITATION STYLE
Landete, M., Monge, J. F., Ruiz, J. L., & Segura, J. V. (2020). Sharpe Portfolio Using a Cross-Efficiency Evaluation. In International Series in Operations Research and Management Science (Vol. 290, pp. 415–439). Springer. https://doi.org/10.1007/978-3-030-43384-0_15
Mendeley helps you to discover research relevant for your work.